005ded9722
Bumps FEATURE_DIM 32→40. Slots [32..40] now carry 8 TGN-style Fourier
features encoding the elapsed time Δt = ts_ns - prev_ts_ns:
(cos(ω_k · Δt_ns), sin(ω_k · Δt_ns))_{k=0..3}
at log-spaced periods [60s, 6s, 600ms, 60ms].
This gives Mamba2's input vector explicit Δt encoding that's
discriminative across temporal scales — particularly important once
decision-stride > 1 (Phase 2A) lands and the gap between K-positions
becomes irregular. Without these features the model has no way to
distinguish "1ms gap" from "1s gap" between consecutive K-positions.
Slots [0..32] unchanged (bit-equivalent for the first 32 features).
Reserved-zero slots [26..32] kept for future macro context. Slots
[20..26] still hold the loader-precomputed EMA regime cascade.
Frequencies stored in __constant__ memory (SNAP_DT_OMEGAS[4]) — small
table, broadcast read pattern, no register pressure. Frequency
selection rationale (one per log-decade):
60s — minute-scale macro session context
6s — 10s-scale liquidity windows
600ms — sub-second microstructure
60ms — tick-cluster spacing
Δt clamped to >= 0 so the rare out-of-order timestamp doesn't produce
nonsense angles. Each (cos, sin) pair satisfies cos²+sin² = 1
(verified by new test `dt_fourier_features_are_bounded`).
New tests in snap_feature_bit_equiv.rs:
- dt_fourier_features_are_bounded: |slot| <= 1 + cos²+sin² == 1
- dt_fourier_discriminates_scales: Δt=1ms vs Δt=1s produce L2-distinct
Fourier vectors (>0.1)
- reserved_slots_are_zero updated to check [20..32] (regime + reserved)
instead of [20..FEATURE_DIM]
All 8 perception_overfit smokes still pass (synthetic stride=1 and
stride=4 both converge 0.32 → 0.0000) — proves the wider FEATURE_DIM=40
input doesn't break the Mamba2+LN+GRN chain.
build.rs cache-bust → v8.
Co-Authored-By: Claude Opus 4.7 <noreply@anthropic.com>
Foxhunt
Production HFT trading system in Rust.
Architecture
The workspace contains 32 crates organized as follows:
Core Libraries (16)
| Crate | Purpose |
|---|---|
trading_engine |
Order processing, FIX 4.4, IB TWS, SIMD, RDTSC timing |
risk |
VaR, Kelly, circuit breakers, kill switches, compliance |
risk-data |
Risk data types and shared structures |
trading-data |
Trading data types |
ml |
DQN Rainbow, PPO, TFT, Mamba2, ensemble inference |
ml-data |
ML data types and feature definitions |
data |
Market data ingestion and storage |
backtesting |
Replay engine, strategy tester |
adaptive-strategy |
Ensemble execution, microstructure analysis |
common |
Shared types, resilience, error handling |
storage |
S3 and local model storage |
model_loader |
Model serialization and loading |
market-data |
Market data feed handlers |
database |
PostgreSQL access layer (SQLx) |
config |
Configuration management |
tli |
CLI commands and tooling |
Services (8)
| Service | Purpose |
|---|---|
backtesting_service |
gRPC backtesting service |
broker_gateway_service |
FIX routing, broker connectivity |
trading_service |
Core trading operations |
ml_training_service |
Model training orchestration |
data_acquisition_service |
Market data acquisition |
trading_agent_service |
Autonomous trading agents |
api_gateway |
gRPC API gateway with auth |
web-gateway |
Axum REST + WebSocket gateway |
Frontend
web-dashboard/ -- React 19 + TypeScript + Vite + TradingView charts.
Building
# Check compilation (no PostgreSQL required)
SQLX_OFFLINE=true cargo check --workspace
# Run tests for a specific crate
SQLX_OFFLINE=true cargo test -p <crate> --lib
# Clippy
SQLX_OFFLINE=true cargo clippy --workspace
ML Models
Four production model architectures on Candle v0.9.1 with CUDA:
- DQN Rainbow -- Deep Q-Network with prioritized replay, dueling heads, noisy nets
- PPO -- Proximal Policy Optimization with GAE and LSTM policies
- TFT -- Temporal Fusion Transformer for multi-horizon forecasting
- Mamba2 -- State space model for sequence prediction
Each model has a standalone trainer and a UnifiedTrainable adapter for the hyperopt pipeline.
Infrastructure
- Git: Gitea at
git.fxhnt.ai(Tailscale-only), Scaleway DEV1-S - Observability: OpenTelemetry OTLP (env
OTEL_EXPORTER_OTLP_ENDPOINT) - Database: PostgreSQL with SQLx offline mode for CI
License
Proprietary. All rights reserved.